Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/111372
Authors: 
Christensen, Timothy M.
Year of Publication: 
2014
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP37/14
Abstract: 
Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal utility in external habit formation models. This paper provides identification conditions for positive eigenfunctions in nonparametric models. Identification is achieved if the operator satisfies two mild positivity conditions and a power compactness condition. Both existence and identification are achieved under a further non-degeneracy condition. The general results are applied to obtain new identification conditions for external habit formation models and for positive eigenfunctions of pricing operators in dynamic asset pricing models.
Subjects: 
Nonparametric identification
Nonparametric models
Asset pricing
Markov processes
Perron-Frobenius theory
Shape restrictions
JEL: 
C13
C14
C58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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